A Derivative-Free Algorithm for Linearly Constrained Finite Minimax Problems (original) (raw)

Abstract

In this paper we propose a new derivative-free algorithm for linearly constrained finite minimax problems. Due to the nonsmoothness of this class of problems, standard derivative- free algorithms can locate only points which satisfy weak necessary optimality conditions. In this work we define a new derivative-free algorithm which is globally convergent toward standard stationary points of the finite minimax problem.

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